Savin, Ivan - In: Jahrbücher für Nationalökonomie und Statistik 233 (2013) 4, pp. 526-549
Summary This study presents a first comparative analysis of Lasso-type (Lasso, adaptive Lasso, elastic net) and … heuristic subset selection methods. Although the Lasso has shown success in many situations, it has some limitations. In … particular, inconsistent results are obtained for pairwise highly correlated predictors. An alternative to the Lasso is …